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jacqie · 2022年05月21日

另一个算法是不是对？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000039

问题如下：

Approximately how many three-month Eurodollar futures contracts are necessary to hedge the six-month interest that will be paid on a USD 20 million bond? Assume that the six-month period starts at the maturity of the futures contract that will be used. (Ignore the differences between Eurodollar futures and FRAs mentioned in the chapter for this question.)

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解释：

The change in the value of the instrument for a 1-basis point parallel shift in the interest rate is

USD 20,000,000 x 0.5 x 0.0001 = USD 1,000

This is 40 times USD 25. It follows that 40 contracts should be shorted.

20m的bond半年，同时euro bond是1m每份标准是3个月，转换一下，直接不就是40份euro bond才能满足半年20m的interest么？这样理解对么

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1 个答案

DD仔_品职助教 · 2022年05月21日

嗨，爱思考的PZer你好：


这样理解是有问题的，只是刚好这里数字能对上。

我们在做对冲的时候需要关注价格的变化，也就是dollar duration。

半年期债券的dollar duration是20million*duration*1bps=20million*0.5*0.0001=1000.

一份Eurodollar futures合约的dollar duration是25，所以需要40份合约。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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